Hi there! Go to start then controle panal then disblay(appearance and themes) if your using xp and went to appearence and themes click disblay then screen saver tab and you should see a little box saying on resume, pasword protect
you also have to create a user account with a password. if you set up xp with no user log-in (as in, it just goes right into window) you wont have the option to password protect. However, once you goto start/settings/control panel/users and passwords.... then create a user and make a password. Now you should be able to choose to "On resume password protect."
actually, instead of making admin password, download a ERD/password recovery. have to do it while you remember the current password, wont work if you forget the password and THEN download it, as it contains many pwl to get into it.